Hello Landyman,
I am assuming Joseph stated his birth place as either Over/Lower Darwen or Darwen.
It's possible that Joseph could have been baptised in a chapel in the Darwen area (not currently on the Lancs OPC site as mentioned by Garstonite) eg Pole Lane / Ebenezer.
http://www.lan-opc.org.uk/Over-Darwen/lower/index.html explains that Lower Chapel in Over Darwen had a large congregation which split after the death of Rev. Robert Smalley Snr in 1791 and members joined the other chapels in the area namely, Pole Lane, Ebenezer and Duckworth St Chapel. You'd need to use your search engine to find out where the registers for these chapels are kept.
However, there is a Joseph Walmsley on
https://familysearch.org/search born 7 Nov 1795 ( Pole Lane Chapel) son of Joseph and a Joseph Walmsley
baptised 10 Dec 1795 Pole Lane Independent Chapel, Over Darwen son of Joseph and Peggy who could be your man and possibly one and the same person.
I used Darwen as a place of birth with birth years ranging from 1792-1799 on familysearch and only the Joseph shown above came up, but it does depend on where Joseph stated he was born/came from and if it was consistent.
If Joseph was born in the Darwen area, there is a wonderful website, darwendays, with lots of photos and info which I found by using "Pole Lane Chapel Darwen" in my search engine.
http://www.darwendays.co.uk/index.php/galleries/churches/pole-lane-chapel#!RECORD_OF_MINISTERS shows that Pole Lane opened in 1793 and Ebenezer Chapel in 1822
Hope this helps,
AB